Is Windows a bad choice for DRL?
TLDR Use whatever environment you are most comfortable with. 

Today the choice of operating system is of much less importance than few years ago. Generally speaking, you will have more application choices under Linux, however, some of these choices will be less than spectacular :-) Windows works better with some hardware. Hence, under Linux, it is a very good idea to check the forums before buying or installing. 

I have played with OpenAI gym under Linux for some time and it worked as advertised. 

Early versions of many important pieces of deep learning software get released for Linux only. For instance, PyTorch and Tensorflow were available for Linux at least one year before the release of Windows ports.